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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Ren M.
作者单位：University System of Ohio; Ohio State University; University of Toronto; National Bureau of Economic Research
摘要：This paper develops and tests a model of how country characteristics, such as legal protections for minority investors and the level of economic and financial development, influence firms' costs and benefits in implementing measures to improve their own governance and transparency. We find that country characteristics explain much more of the variance in governance ratings (ranging from 39% to 73%) than observable firm characteristics (ranging from 4% to 22%). Further, we show that firm charac...
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作者：Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Previous studies typically find a statistically insignificant relation between the market risk premium and its expected volatility. Further, several of these studies estimate a negative risk return tradeoff, contrary to the predictions of mainstream theory. Using simulations, I demonstrate that even 100 years of data constitute a small sample that may easily lead to this finding even though the true risk return tradeoff is positive. Small-sample inference is plagued by the fact that conditiona...
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作者：Nimalendran, M.; Ritter, Jay R.; Zhang, Donghang
作者单位：State University System of Florida; University of Florida; University of South Carolina System; University of South Carolina Columbia
摘要：Underwriters using bookbuilding can allocate shares of initial public offerings (IPOs) on the basis of, among other things, commissions paid by investors. In testing the hypothesis that investors trade liquid stocks in order to affect their IPO allocations, we find that money left on the table by IPOs is related to the trading volume of the 50 most liquid stocks near the offer date. For an IPO that leaves $1 billion on the table, there is abnormal volume of 2.7% to 4.1 % in the 50 most liquid ...
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作者：Acharya, Viral V.; Johnson, Timothy C.
作者单位：University of London; London Business School
摘要：Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities...
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作者：Kang, Jun-Koo; Liu, Wei-Lin
作者单位：Michigan State University; Michigan State University's Broad College of Business
摘要：We examine the extent to which universal banking in Japan creates conflicts of interest. We find that as banks enter the securities business, they discount the price of the corporate bonds they underwrite significantly in an effort to attract investors, thereby generating conflicts of interest that are harmful to issuers. Further, we find that close prior lending relationships between banks and their client issuers is the driving force behind such conflicts and that competition from investment...
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作者：Khorana, Ajay; Servaes, Henri; Wedge, Lei
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Centre for Economic Policy Research - UK; State University System of Florida; University of South Florida
摘要：This paper documents the range of portfolio manager ownership in the funds they manage and examines whether higher ownership is associated with improved future performance. Almost half of all managers have ownership stakes in their funds, though the absolute investment is modest. Future risk-adjusted performance is positively related to managerial ownership, with performance improving by about 3 basis points for each basis point of managerial ownership. These findings persist after controlling...
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作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bloomberg L.P.; New York University
摘要：We analyze the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that, on any given date, the conditional risk-neutral distribution of currency returns can show strong asymmetry. This asymmetry varies greatly over time and often switches signs. We develop and estimate a class of models that captures this stochastic skew behavior. Model estimation shows that our s...
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作者：Lowry, Michelle; Murphy, Kevin J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
摘要：In about one-third of US IPOs between 1996 and 2000, executives received stock options with an exercise price equal to the IPO offer price rather than a market-determined price. Among firms with such IPO options, 58% of top executives realize a net benefit from underpricing: the gain from the options exceeds the loss from the dilution of their pre-IPO shareholdings. If executives can influence either the IPO offer price or the timing and terms of their stock option grants, there should be a po...
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作者：Shanken, Jay; Zhou, Guofu
作者单位：Washington University (WUSTL); Emory University
摘要：We conduct a simulation analysis of the Fama and MacBeth[1973. Risk, returns and equilibrium: empirical tests. Journal of Political Economy 71, 607-636.] two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the relations between estimators, and asymptotic distributions under model misspecification. The generalized least squares estimator...
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作者：Goldfarb, Brent; Kirsch, David; Miller, David A.
作者单位：University System of Maryland; University of Maryland College Park; University of California System; University of California San Diego
摘要：We present four stylized facts about the Dot Corn Era: (1) there was a widespread belief in a Get Big Fast business strategy, (2) the increase and decrease in public and private equity investment was most prominent in the Internet and information technology sectors, (3) the survival rate of dot com firms is on par with or higher than other emerging industries, and (4) firm survival is independent of private equity funding. To connect these findings we offer a herding model that accommodates a ...
